About this fund

Robeco QI Global Multi-Factor High Yield invests systematically in high yield bonds. The selection of these bonds is based on a quantative model. The fund offers balanced exposure to a number of proven factors by focusing on bonds with a low level of expected risk (Low Risk factor), an attractive valuation (Value), a strong performance trend (Momentum) and a small market value of debt (Size). The investment universe includes bonds with a rating of “BB+” or equivalent or lower by at least one of the recognized rating agencies or with no rating.

The value of the investments may fluctuate. Past performance is no guarantee of future results.Annualized (for periods longer than one year).Cumulized (total amount of return).Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.Performances are net of fees and based on transaction prices.

Fund

Reference index

The value of the investments may fluctuate. Past performance is no guarantee of future results.Annualized (for periods longer than one year).Cumulized (total amount of return).Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.Performances are net of fees and based on transaction prices.

Performance explanation

Based on transaction prices, the fund's return was 0.51%. Based on NAV, the fund realized a relative return of +57 bps versus the benchmark. Beta allocation contributed somewhat positively, comprising a positive contribution from the underweight beta position of the bond portfolio and a somewhat smaller negative contribution from the beta hedge, implemented with CDS indices. Issue(r) selection via the multi-factor model contributed strongly positively. The momentum, low-risk and value factors contributed strongly positively to the performance. The size factor contributed neutrally this month. The underweight in EM names made a strong positive contribution. The overweights in Swedish and Swiss issuers contributed somewhat positively to the performance, while the underweight in Dutch issuers detracted slightly. The overweight in BBs and the underweight in CCCs contributed positively, as did the overweight in corporate hybrids. The portfolio’s underweight in communications and overweight in energy contributed negatively. This was partially offset by positive contributions from the underweight in electric utilities and the overweight in natural gas utilities.

Market development

The Bloomberg Barclays Global High Yield Corporates ex-Financials Index posted a credit spread return of -124 bps in August as spreads widened from 392 bps to 421 bps. Underlying government bond yields dropped further and brought the total return to -12 bps (euro-hedged). The main market drivers in August were a reescalation of US-China trade tensions, weaker economic figures and political risks in Europe. Economic weakness in the US became visible in the first PMI contraction of the past ten years, while in Europe many companies had to report weaker earnings growth, especially cyclical companies. Political risks were once again concentrated in the UK, with the risk of a no-deal Brexit rising, and the collapse of the Italian government when the Lega party pulled the plug. Central bank sentiment remained unchanged, in anticipation of expanding accommodative policy either via rate cuts or more QE. Over the month, EUR bonds outperformed USD bonds; BB-rated bonds outperformed lower rating categories; developed markets outperformed emerging markets; natural gas utilities and communications outperformed, and electric utilities and energy underperformed; all on a risk-adjusted basis.

Fund Classification

Currency policy

Derivative policy

The fund fund make use of derivatives for hedging purposes as well as for investment purposes.

Dividend policy

unhedged currency exposure.

ESG Integration policy

ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher ESG scores from RobecoSAM are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile of the fund that is above that of the reference index. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Investment policy

Robeco QI Global Multi-Factor High Yield aims to provide long-term capital growth by investing systematically in high yield bonds and offering exposure to a number of proven factors in a diversified way. It selects bonds with a low level of expected risk (Low Risk); an attractive valuation (Value); a medium-term attractive performance trend (Momentum); and a small market value of debt (Size). The fund on average offers balanced exposure to these factors. A disciplined investment process is used for the portfolio's construction, starting with a global universe of bonds with a rating of BB+ or equivalent or lower. The quantitative multi-factor ranking model ranks all bonds from the most attractive to least attractive. In the portfolio's construction, bonds from the top of the ranking will be bought, resulting in a balanced and diversified portfolio, reflecting bonds' liquidities and constraints on sectors, currencies-denominations, and subordinations. Bloomberg Barclays Global High Yield Corporates ex. Financials is used as a benchmark for the fund. The fund will strive to create a risk profile which is similar to this index, but with a high conviction approach that aims to generate higher returns, due its exposures to factors. The fund can have a significant tracking error versus the index.

Expectation of fund manager

Robeco QI Global Multi-Factor High Yield invests systematically in high yield corporate bonds. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.

Patrick Houweling, Mark Whirdy

Patrick Houweling, Mark Whirdy

Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam. Mark Whirdy is Portfolio Manager in the Credit team for Robeco’s factor credits strategies: Conservative Credits, Multi-Factor Credits and Multi-Factor High Yield. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster.

Cost of this fund

Ongoing charges

Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee

Max exit fee

Max sub fee

Max switch fee

Fiscal product treatment

The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.05% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.

Fiscal treatment of investor

The fiscal consequences of investing in this fund depend on the investor's personal situation. For private investors in the Netherlands real interest and dividend income or capital gains received on their investments are not relevant for tax purposes. Each year investors pay income tax on the value of their net assets as at 1 January if and inasmuch as such net assets exceed the investor’s tax-free allowance. Any amount invested in the fund forms part of the investor's net assets. Private investors who are resident outside the Netherlands will not be taxed in the Netherlands on their investments in the fund. However, such investors may be taxed in their country of residence on any income from an investment in this fund based on the applicable national fiscal laws. Other fiscal rules apply to legal entities or professional investors. We advise investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.

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